One minute prices change after a few minutes

[JulianG]

I am fetching 1min prices with an app every minute. I noticed that sometimes, my saved prices didn't match the online chart. Investigating further, it seems if you get the latest 1min price, and then get it again a few minutes later, it's slightly different. It is the same from the online API Companion.

Here is a price retrieved from the Companion at 14:19 today, followed by the same data retrieved a few minutes later. You can see that the closing and high prices are different, and also the volume. (This is Epic: IX.D.FTSE.IFM.IP)

Is this a predictable behaviour? How long do I need to wait before the price settles down to its final value?

Thanks, Julian

{
        "snapshotTime": "2020/05/07 14:19:00",
        "snapshotTimeUTC": "2020-05-07T13:19:00",
        "openPrice": {
            "bid": 5911.3,
            "ask": 5912.3,
            "lastTraded": null
        },
        "closePrice": {
            "bid": 5912.3,
            "ask": 5913.3,
            "lastTraded": null
        },
        "highPrice": {
            "bid": 5912.3,
            "ask": 5913.3,
            "lastTraded": null
        },
        "lowPrice": {
            "bid": 5911.3,
            "ask": 5912.3,
            "lastTraded": null
        },
        "lastTradedVolume": 10
    }]
}

Retrieved at 14:30.

{
        "snapshotTime": "2020/05/07 14:19:00",
        "snapshotTimeUTC": "2020-05-07T13:19:00",
        "openPrice": {
            "bid": 5911.3,
            "ask": 5912.3,
            "lastTraded": null
        },
        "closePrice": {
            "bid": 5911.8,
            "ask": 5912.8,
            "lastTraded": null
        },
        "highPrice": {
            "bid": 5913.3,
            "ask": 5914.3,
            "lastTraded": null
        },
        "lowPrice": {
            "bid": 5911.3,
            "ask": 5912.3,
            "lastTraded": null
        },
        "lastTradedVolume": 45
    }

[JulianG]

Answering my own question ...

I had misunderstood how this is meant to work. I assumed that when data was available for a new timestamp, that meant the candle was complete. However, this is not how it works and, of course, not how it works with the online charts.

When one candle is complete, price data is immediately available for the next candle even if it is still in progress. Therefore, what I was seeing was a snapshot at a number of seconds into a new candle. Naturally, this data would not be complete and correct until the next candle had started.

Julian